The HML factor is the difference in returns between the high book-to-market portfolio and the low book-to-market portfolio. Report the average of HML. What is the standard error of this estimate? What...

The HML factor is the difference in returns between the high book-to-market portfolio and the low book-to-market portfolio.

1. 
   

   Report the average of HML. What is the standard error of this estimate? What is the 95% confidence interval? Is the average of HML statistically different from 0?
   

   
   


2. 
   

   Report the CAPM beta and alpha of the HML portfolio. Are these estimates statisti- cally significant? What are the possible economic sources of this alpha?
   

   
   


3. 
   

   Are the results in (1) or (2) better evidence that a strategy that is long value and short growth generates abnormal returns? Why?

   
   

Fama-French Factors Mkt-RFSMBHMLRF 1963014.933.112.290.25 196302-2.420.382.260.23 1963033.06-2.552.140.23 1963044.49-1.331.10.25 1963051.771.092.770.24 196306-2.03-0.260.790.23 196307-0.44-0.5-0.950.27 1963085.02-1.031.780.25 196309-1.46-0.340.210.27 1963102.48-0.55-0.030.29 196311-0.82-1.111.650.27 1963121.88-1.990.010.29 1964012.28-0.171.540.3 1964021.460.082.840.26 1964031.450.953.430.31 1964040.17-1.37-0.520.29 1964051.48-0.891.910.26 1964061.21-0.30.750.3 1964071.710.230.690.3 196408-1.410.090.120.28 1964092.77-0.511.650.28 1964100.60.451.120.29 1964110.020.61-1.960.29 1964120.06-0.24-2.590.31 1965013.582.670.180.28 1965020.393.480.210.3 196503-1.331.771.080.36 1965043.061.190.70.31 196505-0.750.03-1.620.31 196506-5.54-4.350.570.35 1965071.370.842.240.31 1965082.762.85-1.060.33 1965092.890.6-0.090.31 1965102.622.431.580.31 196511-0.044.660.310.35 1965121.022.081.980.33 1966010.833.863.530.38 196602-1.214.440.430.35 196603-2.470.97-2.060.38 1966042.143.44-0.420.34 196605-5.66-4.66-1.630.41 196606-1.411.050.590.38 196607-1.64-0.330.840.35 196608-7.95-3.310.560.41 196609-1.1-1.10.530.4 1966103.78-6.622.910.45 1966111.354.37-4.650.4 1966120.221.87-1.330.4 1967018.128.471.890.43 1967020.733.38-2.270.36 1967033.951.760.150.39 1967043.840.6-2.610.32 196705-4.2620.810.33 1967062.426.010.880.27 1967074.63.092.690.32 196708-0.940.481.480.31 1967093.113.08-2.460.32 196710-3.131.44-3.390.39 1967110.430.19-1.720.36 1967123.045.73-0.440.33 196801-4.033.94.790.4 196802-3.75-2.931.210.39 1968030.13-1.27-0.520.38 1968048.985.72-1.060.43 1968052.256.420.850.45 1968060.72-0.170.730.43 196807-2.68-1.325.450.48 1968081.382.350.970.42 1968094.022.810.240.43 1968100.46-0.482.960.44 1968115.432.38-0.910.42 196812-3.823.440.060.43 196901-1.2-0.791.570.53 196902-5.82-3.90.930.46 1969032.59-0.26-0.450.46 1969041.52-0.840.040.53 1969050.02-0.280.720.48 196906-7.25-5.36-1.130.51 196907-7.05-3.211.380.53 1969084.650.9-3.80.5 196909-2.881.18-3.20.62 1969104.963.76-3.110.6 196911-3.74-2.54-1.110.52 196912-2.61-3.67-3.050.64 197001-7.932.93.010.6 1970025.05-2.374.030.62 197003-1.04-2.354.270.57 197004-11.03-6.116.340.5 197005-6.96-4.463.570.53 197006-5.69-2.160.790.58 1970076.9-0.561.010.52 1970084.471.521.040.53 1970094.218.61-5.540.54 197010-2.28-4.20.30.46 1970114.58-4.091.680.46 1970125.652.9710.42 1971014.827.441.340.38 1971021.361.9-1.340.33 1971034.182.58-3.990.3 1971043.05-0.520.750.28 197105-3.93-1.12-1.380.29 197106-0.06-1.42-1.990.37 197107-4.43-1.50.170.4 1971083.78-0.212.690.47 197109-0.870.41-2.960.37 197110-4.44-1.77-0.440.37 197111-0.5-2.83-1.720.37 1971128.763.32-0.290.37 1972012.556.132.020.29 1972022.881.37-2.780.25 1972030.6-0.26-1.710.27 1972040.260.020.220.29 1972051.34-2.77-2.680.3 197206-2.380.33-2.530.29 197207-0.74-2.90.830.31 1972083.31-44.60.29 197209-1.11-2.650.430.34 1972100.47-2.661.260.4 1972114.61-1.124.870.37 1972120.75-1.83-2.320.37 197301-3.19-3.452.690.44 197302-4.85-3.991.740.41 197303-1.25-2.842.730.46 197304-5.7-3.975.610.52 197305-2.96-6.020.20.51 197306-1.37-2.931.390.51 1973075.067.91-5.220.64 197308-3.66-2.011.230.7 1973094.712.912.080.68 197310-0.69-0.131.780.65 197311-12.63-7.7240.56 1973120.5-5.274.290.64 197401-0.199.835.790.63 197402-0.340.012.550.58 197403-2.92.45-0.060.56 197404-5.35-0.691.050.75 197405-4.95-3.03-2.070.75 197406-2.89-0.160.820.6 197407-7.790.875.230.7 197408-9.38-0.682.550.6 197409-11.780.315.450.81 19741016.05-3.48-9.810.51 197411-4.64-1.11-0.180.54 197412-3.4-4.850.10.7 19750113.5810.838.350.58 1975025.410.18-4.540.43 1975032.613.732.490.41 1975044.21-0.48-1.20.44 1975055.073.86-4.060.44 1975064.740.771.260.41 197507-6.522.641.680.48 197508-2.84-3.18-0.870.48 197509-4.33-0.110.380.53 1975105.03-4.050.330.56 1975112.71-1.212.020.41 197512-1.58-0.771.770.48 19760112.134.798.590.47 1976020.396.985.870.34 1976032.28-1.14-0.090.4 197604-1.46-0.070.010.42 197605-1.31-1.23-1.310.37 1976064.02-1.380.720.43 197607-1.090.321.710.47 197608-0.56-2.010.780.42 1976092.010.06-0.340.44 197610-2.450.22-0.140.41 1976110.142.311.530.4 1976125.762.982.170.4 197701-3.994.774.250.36 197702-1.931.070.490.35 197703-1.30.981.030.38 1977040.12-0.13.390.38 197705-1.451.210.820.37 1977064.742.16-0.620.4 197707-1.72.12-0.60.42 197708-1.781.5-2.80.44 197709-0.271.44-0.50.43 197710-4.421.251.710.49 1977114.043.720.380.5 1977120.331.35-0.340.49 197801-6.012.213.280.49 197802-1.393.550.820.46 1978032.873.421.280.53 1978047.740.4-3.460.54 1978051.814.6-0.610.51 197806-1.621.730.590.54 1978075.110.28-1.080.56 1978083.695.08-0.50.55 197809-1.31-0.41.90.62 197810-11.78-9.911.410.68 1978112.683.05-2.250.7 1978120.991.27-2.240.78 1979014.183.692.280.77 197902-3.410.471.170.73 1979035.753.19-0.670.81 1979040.052.181.060.8 197905-2.180.341.620.82 1979063.881.171.420.81 1979070.731.311.750.77 1979085.72.07-1.530.77 197909-0.69-0.29-0.910.83 197910-8.14-3.33-1.870.87 1979115.372.75-3.340.99 1979121.874.24-2.040.95 1980015.761.681.780.8 198002-0.79-1.790.580.89 198003-13.23-6.64-1.021.21 1980043.970.991.091.26 1980055.22.130.380.81 1980063.161.69-0.910.61 1980076.414.21-6.270.53 1980081.723.91-2.690.64 1980092.20.87-4.710.75 1980101.062.45-2.750.95 1980119.54-3.46-8.520.96 198012-4.75-0.232.671.31 198101-5.053.026.881.04 1981020.48-0.2911.07 1981033.413.610.741.21 198104-2.214.42.281.08 1981050.212.05-0.451.15 198106-2.37-0.865.131.35 198107-1.55-2.26-0.531.24 198108-6.91-1.934.781.28 198109-7.62-2.645.191.24 1981104.812.24-4.361.21 1981113.51-0.931.861.07 198112-3.681.20.720.87 198201-3.42-1.243.070.8 198202-6.030.56.030.92 198203-1.99-0.223.860.98 1982043.21.46-2.721.13 198205-3.880.51.81.06 198206-3.35-0.391.570.96 198207-3.10.890.231.05 19820811.14-4.131.170.76 1982091.172.940.340.51 19821011.272.34-3.720.59 1982114.564.77-1.930.63 1982120.78-0.170.040.67 1983013.52.66-0.870.69 1983022.43.260.70.62 1983032.841.762.080.63 1983046.710.530.580.71 1983050.636.12-1.40.69 1983063.110.92-3.850.67 198307-3.91.515.650.74 198308-0.41-4.35.460.76 1983090.850.551.050.76 198310-3.56-3.614.940.76 1983112.262.03-0.630.7 198312-1.78-0.291.640.73 198401-2.06-0.47.560.76 198402-4.62-1.723.390.71 1984030.610.140.520.73 198404-0.56-1.21.280.81 198405-6.010.080.20.78 1984061.59-0.27-2.590.75 198407-2.88-2.280.280.82 19840810.44-0.22-1.750.83 198409-0.820.245.330.86 198410-1.01-1.170.461 198411-1.8-0.634.010.73 1984121.73-0.57-0.110.64 1985017.923.27-5.350.65 1985021.110.79-0.230.58 198503-0.79-1.123.980.62 198504-0.940.183.720.72 1985054.92-2.28-0.910.66 1985061.160.490.420.55 198507-0.652.85-1.630.62 198508-1.03-0.372.20.55 198509-4.58-1.611.250.6 1985103.79-1.580.720.65 1985116.310.24-2.870.61 1985123.66-0.46-1.520.65 1986010.421.210.530.56 1986026.72-0.59-0.840.53 1986034.79-0.48-0.440.6 198604-1.312.82-2.910.52 1986054.59-1.3-0.110.49 1986060.9-0.891.380.52 198607-6.49-3.434.710.52 1986086.16-4.173.530.46 198609-8.352.33.220.45 1986104.47-2.59-1.480.46 1986111.12-1.96-0.160.39 198612-3.130.070.360.49 19870112.43-1.73-3.150.42 1987024.363.45-5.950.43 1987031.90.441.650.47 198704-2.14-1.69-0.290.44 1987050.13-0.560.170.38 1987063.89-2.11.130.48 1987073.96-0.680.670.46 1987083.24-0.77-0.940.47 198709-2.530.620.280.45 198710-23.14-8.414.170.6 198711-7.582.613.180.35 1987126.640.18-4.480.39 1988014.2-0.665.220.29 1988024.713.34-1.660.46 198803-2.16.150.770.44 1988040.640.961.730.46 198805-0.47-2.622.310.51 1988064.662.12-1.140.49 198807-1.24-0.192.280.51 198808-3.390.082.090.59 1988093.1-1.3-0.740.62 1988101.15-2.941.660.61 198811-2.21-1.741.260.57 1988121.481.93-1.550.63 1989016.06-2.150.520.55 198902-2.252.740.870.61 1989031.480.70.470.67 1989044.15-0.53-1.380.67 1989053.14-0.03-0.840.79 198906-1.2-1.012.180.71 1989077.01-3.98-2.80.7 1989081.470.50.670.74 198909-0.80.34-1.30.65 198910-3.61-3.23-0.980.68 1989111.09-1.26-1.120.69 1989121.22-2.350.290.61 199001-7.58-1.250.870.57 1990020.921.150.660.57 1990031.771.5-2.860.64 199004-3.52-0.44-2.480.69 1990058.21-2.48-3.630.68 199006-1.051.37-2.110.63 199007-1.62-3.18-0.050.68 199008-9.85-3.571.490.66 199009-5.98-3.630.670.6 199010-1.93-5.560.260.68 19901160.32-2.960.57 1990122.350.78-1.490.6 1991014.393.85-1.730.52 1991027.13.9-0.580.48 1991032.453.92-1.190.44 199104-0.20.531.430.53 1991053.6-0.31-0.560.47 199106-4.820.061.230.42 1991074.19-0.97-1.290.49 1991082.221.59-0.80.46 199109-1.561.68-1.060.46 1991101.360.85-0.390.42 199111-4.12-0.55-1.770.39 19911210.3-2.26-4.020.38 199201-0.468.434.630.34 1992021.060.876.370.28 199203-2.71-1.083.720.34 1992041.02-6.084.330.32 1992050.360.421.170.28 199206-2.25-3.073.320.32 1992073.68-0.39-0.480.31 199208-2.34-0.11-1.090.26 1992090.980.58-0.20.26 1992100.872.07-2.050.23 1992113.793.63-1.530.23 1992121.51.632.530.28 1993011.032.035.830.23 1993020.32-3.366.50.22 1993032.260.231.230.25 199304-2.78-0.642.650.24 1993052.741.97-3.450.22 1993060.29-0.312.610.25 199307-0.320.953.240.24 1993083.70.22-0.40.25 199309-0.23.08-0.450.26 1993101.591.45-1.590.22 199311-2.01-1.41-0.310.25 1993121.721.240.60.23 1994012.90.112.150.25 199402-2.632.72-1.370.21 199403-4.85-0.91.290.27 1994040.68-0.881.660.27 1994050.62-2.050.120.32 199406-3.1-0.491.710.31 1994072.78-1.780.980.28 1994083.891.45-3.470.37 199409-2.212.7-1.830.37 1994101.07-2.21-2.350.38 199411-4.09-0.16-0.070.37 1994120.820.040.220.44 1995011.62-2.951.670.42 1995023.56-0.330.370.4 1995032.24-0.35-2.040.46 1995042.06-0.411.730.44 1995052.86-2.241.970.54 1995062.653.07-2.990.47 1995073.632.22-2.150.45 1995080.461.841.890.47 1995093.21-2.02-0.920.43 199510-1.6-3.99-0.080.47 1995113.85-0.810.340.42 1995121.030.421.410.49 1996012.38-2.440.360.43 1996021.242.06-2.320.39 1996030.71.311.230.39 1996042.094.89-3.980.46 1996052.263.22-1.380